Tests of cointegrating rank with a trend-break

被引：49

作者：

Inoue, A ^{[1
]}

机构：

[1] N Carolina State Univ, Dept Agr & Resource Econ, Raleigh, NC 27695 USA

来源：

JOURNAL OF ECONOMETRICS | 1999年 / 90卷 / 02期

关键词：

cointegration; cointegrating rank; trend break;

D O I：

10.1016/S0304-4076(98)00042-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The conventional testing procedure may mislead one into accepting the null of no cointegration or the null of a cointegrating rank smaller than the true rank when there is a trend-break under the alternative hypothesis. This paper proposes tests for cointegrating rank that have power against the trend-break alternative. The proposed tests are applied to the US money demand function. The results support the Campbell-Perron conjecture: money, income and interest rates are cointegrated around a broken trend. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: C12; C22; C32.

引用

页码：215 / 237

页数：23

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